Talk:Heath-Jarrow-Morton framework

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You have new messages (last change).

I think it would be good if this page could be extended to give the basic derivation of the HJM model and also show the relationship between the HJM models and other simpler models (such as HO and Lee, Vasicek models for the short rate)

I can write this up if there is interest

Charlesmartin14 04:53, 13 November 2006 (UTC)

Yes, there is interest.

Thanks

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